摘要
利用实物期权的方法和Black-Scholes期权定价模型提出一种排污权期权交易定价的方法,并通过建立排污权期权交易下和非期权交易下交易双方的效用函数分析了两种交易模式的均衡稳定性。结果表明,排污权期权交易和非期权交易都是均衡的,但只有排污权期权交易是稳定的。
This paper presents a permits option pricing formula based on the real options theory and Black-Scholes option pri- cing model. And then, it analyzes the equilibrium stability of the two trading models by building the utility function of two parties based on emission trading and non emission trading respectively. Results show that both trading pattern are bal- anced, while only permits option trading pattern is stable.
出处
《软科学》
CSSCI
北大核心
2018年第3期89-92,共4页
Soft Science
基金
国家自然科学基金项目(71403163)
中国博士后科学基金项目(2013M540910)
关键词
排污权
实物期权
期望效用
均衡稳定性
emission permits
real option
expected utility
equilibrium
